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Semi-strong form efficiency is generally supported by event studies, especially these on daily returns testing the market's reaction to accounting earnings. Nevertheless, the Post-Earnings-Announcement Drift (PEAD) anomaly, being inconsistent with semi-strong form efficiency, seems to have survived robustness tests through the years. This paper examines the reaction of ATHEX in response to fiscal year 2006 annual earnings announcements of 20 high capitalisation companies. The common event study methodology is being used in order to define expected returns and trace the abnormal performance of ...